The density function and the MSE dominance of the pre-test estimator in a heteroscedastic linear regression model with omitted variables

DOI10.1007/BF02926112zbMATH Open0893.62070MaRDI QIDQ1370184FDOQ1370184

Authors: Kazuhiro Ohtani, Judith A. Giles 

Publication date: 26 October 1997

Published in: Statistical Papers (Search for Journal in Brave)

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• Finite sample properties of an HPT estimator when each individual regression coefficient is estimated in a misspecified linear regression model

zbMATH Keywords

omitted variablespre-test estimatorheteroscedastic linear regression model

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Point estimation (62F10) Linear regression; mixed models (62J05) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

• Estimation of regression coefficients after a preliminary test for homoscedasticity
• Finite Sample Moments of a Preliminary Test Estimator in the Case of Possible Heteroscedasticity
• The exact distribution of a least squares regression coefficient estimator after a preliminary \(t\)-test
• Testing linear restrictions on coefficients in a linear regression model with proxy variables and spherically symmetric disturbances
• The Heteroscedastic Linear Model: Exact Finite Sample Results
• Some improved estimators in the case of possible heteroscedasticity
• Title not available (Why is that?)
• Some risk results for a two-stage pre-test estimator in the case of possible heteroskedasticity
• Title not available (Why is that?)
• On choosing the level of significance for the goldfeld and quandt heteroskedasticity pretesting
• The exact distribution and density functions of the stein-type estimator for normal variance

Cited In (4)

• The exact distribution and density functions of a pre-test estimator of the error variance in a linear regression model with proxy variables
• MSE performance of a heterogeneous pre-test estimator
• The exact density and distribution functions of the inequality constrained and pre-test estimators
• Exact distribution of a pre-test estimator for regression error variance when there are omitted variables.

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